The Prime Minister says he wouldn't have killed Harambe, but would have shot him with a tranquiliser.
The western lowland gorilla was shot dead at Cincinnati Zoo after a four-year-old boy managed to get inside the enclosure at the weekend.
Footage of the boy in the stream with the gorilla dragging it through the water was posted to the internet.
Police are considering whether to lay charges against the parents, while a negligence complaint has been filed against the zoo.
John Key told More FM it was "sad" the gorilla was killed, and zookeepers should have used some other type of non-lethal force.
"I was out looking at some of the police's top-rate stuff yesterday and they've got these rubber bullet-type things, these stunt bullet-type things.
"Apparently they pack an amazing punch, and if you hit it with that surely it'll knock it overâ€¦ or maybe aggravated it," he said.
"I understand no one wants their little boy hurt, but it is just so sad they killed it."
When asked whether he was pandering to the gorillas, Mr Key joked: "It's huge in New Zealand, the gorilla vote."
In a Facebook post, the boy's mother said he had suffered a concussion and scrapes but was otherwise "doing well".
Harambe's death has caused divisions around the world about whether killing the 200kg great ape was the right thing to do.